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作者：He, Zhiguo; Xiong, Wei
作者单位：University of Chicago; Princeton University; National Bureau of Economic Research
摘要：Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate inte...
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作者：Pastor, Lubos; Stambaugh, Robert F.
作者单位：National Bureau of Economic Research; University of Chicago; University of Pennsylvania
摘要：According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investors perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contribut...
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作者：Greenwood, Robin; Hanson, Samuel G.
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book-to-market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related factor returns. For example, we show that large firms underperform after years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based ...
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作者：Ramadorai, Tarun
作者单位：University of Oxford
摘要：Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premiu...
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作者：Jiang, Wei; Li, Kai; Wang, Wei
作者单位：Columbia University; University of British Columbia; Queens University - Canada
摘要：This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and secured creditors. Their effect on the debtor manifests in higher probabilities of the latter's loss of exclusive rights to file reorganization plans, CEO turnover,...
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作者：Corwin, Shane A.; Schultz, Paul
作者单位：University of Notre Dame
摘要：We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highlow ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the highlow ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of highlow ratios over 1-day and 2-day intervals. The estimator is easy to calculate, can be applied in...
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作者：Kaniel, Ron; Liu, Shuming; Saar, Gideon; Titman, Sheridan
作者单位：University of Rochester; California State University System; San Francisco State University; Cornell University; University of Texas System; University of Texas Austin
摘要：This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also ...
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作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz University Hannover; City St Georges, University of London
摘要：We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so-called carry trades. We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yiel...
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作者：Solomon, David H.
作者单位：University of Southern California
摘要：I examine how media coverage of good and bad corporate news affects stock prices, by studying the effect of investor relations (IR) firms. I find that IR firms spin their clients news, generating more media coverage of positive press releases than negative press releases. This spin increases announcement returns. Around earnings announcements, however, IR firms cannot spin the news and their clients returns are significantly lower. This pattern is consistent with positive media coverage increa...
